Date:
2013-04-06 15:04 |
Priority:
3 |
State:
Open |
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Submitted by:
ivan popivanov (popivan)
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Assigned to:
Nobody (None)
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Product:
None |
Operating System:
Linux |
Component:
None |
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Summary:
Adding a garchAuto function (automatic model selection)? |
| Detailed description |
I have used an automated way to lookup through garch models. Thought it might be something to add to the package. A very basic version of the function is in the attachment, if you think that's something that can go into the package - let me know if it needs further work.
It's somewhat similar to the auto.arima in the forecast package, and I believe the maintainer of the rugarch package added something similar (only arma models though) after I pointed it out to him. |
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